G2TT
来源类型Discussion paper
规范类型论文
来源IDDP10449
DP10449 Regression Based Estimation of Dynamic Asset Pricing Models
Emanuel Moench; Tobias Adrian; Richard K. Crump
发表日期2015-03-01
出版年2015
语种英语
摘要We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The estimators explicitly allow for time varying prices of risk, time varying betas and serially dependent pricing factors. Our approach nests the Fama-MacBeth two-pass estimator as a special case. We provide asymptotic multistage standard errors necessary to conduct inference for asset pricing tests. We illustrate our new estimators in an application to the joint pricing of stocks and bonds. The application features strongly time varying, highly significant prices of risk which are found to be quantitatively more important than time varying betas in reducing pricing errors.
主题Financial Economics
关键词Dynamic asset pricing Fama-macbeth regressions Gmm Minimum distance estimation Reduced rank regression Time-varying betas
URLhttps://cepr.org/publications/dp10449
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/539281
推荐引用方式
GB/T 7714
Emanuel Moench,Tobias Adrian,Richard K. Crump. DP10449 Regression Based Estimation of Dynamic Asset Pricing Models. 2015.
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